Three solutions to the pricing kernel puzzle
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(18)- Empirical reverse engineering of the pricing kernel.
- Testing monotonicity of pricing kernels
- The pricing kernel puzzle: survey and outlook
- The pricing kernel puzzle in forward looking data
- Competitive equilibria in a comonotone market
- Functional Ross recovery: theoretical results and empirical tests
- Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Option augmented density forecasts of market returns with monotone pricing kernel
- The shape of small sample biases in pricing kernel estimations
- Reference-dependent preferences and the empirical pricing kernel puzzle
- Optimal payoffs under state-dependent preferences
- Rationalizing investors' choices
- Nonparametric tests of density ratio ordering
- Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
- Measure preserving derivatives and the pricing kernel puzzle
- Correlation and the pricing of risks
- Estimating a conditional density ratio model for asset returns and option demand
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